Yes. ^^ Go to the stages's .def file, and search for "bgmusic". Here's an example. Let's say... I wanna put some Andrew W.K. in my stage. The mp3 is titled, "Andrew W.K. - Ready To Die". Make the bgmusic part look like this;

bgmusic = sound/Andrew W.K. - Ready To Die.mp3

And, there ya go! That was just an example, but it won't work unless you put the .mp3 at the end. Ovo

Now, notice I typed; "sound/" at the beginning... You can put the name of any folder in your Mugen that the mp3 is in. For example; if it's in the stages folder, it'd be "stages/" Or, even in the data folder! xD "data/". Very easy. ^^

And, if you're a doofus like me, you can even put mp3's of random things, like people fighting in the street; some guy yelling at his pants for not fitting him anymore; an auto-tuned cat; people skateboarding and wiping out; a YouTube Poop... Yeah, I'm a bit aventurous with Mugen. xD